(20/10/2008)

20 Outubro 2008, 20:30 • Raquel M. Gaspar

3 -The Fundamental Theorem of Asset Pricing (cont.)

• The Theorem: Separating Hyper plane Theorem; Proof
• The existence of an Optimal Portfolio
• Mean-Variance Frontier
• Exercises

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(13/10/2008)

13 Outubro 2008, 20:30 • Raquel M. Gaspar

3 -The Fundamental Theorem of Asset Pricing

• Notation
• Law of one Price (LOP)
• Absence of Arbitrage

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(06/10/2008)

6 Outubro 2008, 20:30 • Raquel M. Gaspar

2 - General Properties of Asset Pricing

• Introduction
• 1=E(RM)
• Alternative Representations: factor based models, state prices, risk-neutral probabilities
• When does 1=E(RM) hold?
• Empirical Restrictions on M
• Conditional Models

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(29/09/2008)

29 Setembro 2008, 20:30 • Raquel M. Gaspar

Course Presentation

1-Introduction

• About the Course: teacher and student presentations. Course Evaluation. Program Outline. Biblography.
• Fields of Finance: Introduction. Market Efficiency. Asset Pricing. Corporate Finance. Market Microstructure. Behavioral Finance.

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(22/09/2008)

22 Setembro 2008, 20:30 • Raquel M. Gaspar

0 - Course Presentation

• Asset Pricing as a classical area of Finance
• Mathematical Finance as a subarea of Asset Pricing
• Program Outline
• Evaluation System
• Classes: Theoretical Classes and Exercise Classes

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